如何计算Va R
learn.whatIsHeading
Value at Risk (VaR) estimates maximum loss over time period at confidence level (e.g., 95% confident loss won't exceed $X in one day).
分步指南
- 1Input returns history or parameters
- 2Calculate percentile loss
- 3Report VaR at chosen confidence level
例题解析
输入
$1M portfolio, 95% confidence
结果
95% VaR ≈ $50k/day (5% chance of larger loss)
Risk measure used by banks
常见错误注意事项
- ✕Assuming VaR captures all downside
- ✕Not updating with new volatility regime
常见问题
Doesn't VaR underestimate tail risk?
Yes, doesn't show loss magnitude beyond confidence level; use CVaR (expected shortfall) too.
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